Each level has a "key move limit". Complete a level without going above its limit to receive a key as a reward. They can be used to open Sully's loot crates occasionally. You do not have to get the key on your first run. If there is another collectible that requires you to use more moves than you have, get that collectible before completing the stage. When return to that stage, the collectible will be gone and you can now concentrate on getting the key.